LassoBench is officially out

LassoBench, a high-dimensional black-box HPO benchmark suite, is officially out and feel free to try it.

GitHub repo Arxiv preprint

We have evaluated 5 state-of-the-art HPO methods and 3 baselines, and demonstrate that Bayesian optimization, in particular, can improve over the methods commonly used for sparse regression while highlighting limitations of these frameworks in very high dimensions. Remarkably, Bayesian optimization improve the Lasso baselines on 60, 100, 300, and 1000 dimensional problems by 45.7%, 19.2%, 19.7% and 15.5%, respectively.